BHSBVAR: Structural Bayesian Vector Autoregression Models

Provides a function for estimating the parameters of Structural Bayesian Vector Autoregression models with the method developed by Baumeister and Hamilton (2015) <doi:10.3982/ECTA12356>, Baumeister and Hamilton (2017) <doi:10.3386/w24167>, and Baumeister and Hamilton (2018) <doi:10.1016/j.jmoneco.2018.06.005>. Functions for plotting impulse responses, historical decompositions, and posterior distributions of model parameters are also provided.

Version: 3.1.1
Depends: R (≥ 3.5.0)
Imports: Rcpp (≥ 1.0.6)
LinkingTo: Rcpp, RcppArmadillo
Suggests: rmarkdown, knitr
Published: 2022-11-05
DOI: 10.32614/CRAN.package.BHSBVAR
Author: Paul Richardson
Maintainer: Paul Richardson <p.richardson.54391 at>
License: GPL (≥ 3)
NeedsCompilation: yes
Language: en-US
Materials: NEWS
CRAN checks: BHSBVAR results


Reference manual: BHSBVAR.pdf
Vignettes: Structural Bayesian Vector Autoregression Models


Package source: BHSBVAR_3.1.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): BHSBVAR_3.1.1.tgz, r-oldrel (arm64): BHSBVAR_3.1.1.tgz, r-release (x86_64): BHSBVAR_3.1.1.tgz, r-oldrel (x86_64): BHSBVAR_3.1.1.tgz
Old sources: BHSBVAR archive


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